Sökning: "Extreme-Value-Theory"

Visar resultat 1 - 5 av 58 uppsatser innehållade ordet Extreme-Value-Theory.

1. 1. Anomaly Detection in the EtherCAT Network of a Power Station : Improving a Graph Convolutional Neural Network Framework

   Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Författare :Niklas Barth; [2023]
   Nyckelord :Unsupervised Learning; Multivariate Time Series; Graph Convolutional Neural Networks; Anomaly Detection; Industrial Control System; EtherCAT; Power Station; Electricity Grid;

   Sammanfattning : In this thesis, an anomaly detection framework is assessed and fine-tuned to detect and explain anomalies in a power station, where EtherCAT, an Industrial Control System, is employed for monitoring. The chosen framework is based on a previously published Graph Neural Network (GNN) model, utilizing attention mechanisms to capture complex relationships between diverse measurements within the EtherCAT system. LÄS MER

3. 2. Pricing and Modeling Heavy Tailed Reinsurance Treaties - A Pricing Application to Risk XL Contracts

   Master-uppsats, KTH/Matematisk statistik

   Författare :Ormia Abdullah Mohamad; Anna Westin; [2023]
   Nyckelord :Reinsurance; Extreme Value Theory; POT-model; Hill estimator; Risk XL contracts; Generalized Pareto distribution; Method of Moments.; Återförsäkring; Extremevärdesteori; POT-modellen; Hill estimatorn; Risk XL kontrakt; generella Paretofördelningen; Momentmetoden.;

   Sammanfattning : To estimate the risk of a loss occurring for insurance takers is a difficult task in the insurance industry. It is an even more difficult task to price the risk for reinsurance companies which insures the primary insurers. LÄS MER

4. 3. Copula approach to fitting bivariate time series

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Jun Wang; [2023]
   Nyckelord :VaR; Copula; ARMA-GARCH; Extreme Value Theory; GPD; Hill estimator; Mathematics and Statistics;

   Sammanfattning : We apply the GARCH-copula method to estimate Value at Risk (VaR) for European and Stockholm stock indices. First, marginal distributions are estimated by the ARMA-GARCH model with normal, Student-t, and skewed t distributions. LÄS MER

5. 4. Generating Extreme Value Distributions in Finance using Generative Adversarial Networks

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :William Nord-Nilsson; [2023]
   Nyckelord :Extreme Value Theory; Generative Adversarial Networks; Stress Testing; Machine Learning; Convolutional Neural Networks; evtGAN; Extreme Events; Extremvärdesteori; Generativa nätverk; Stresstestning; Maskininlärning; Djupt neuralt nätverk; evtGAN; Extrema händelser;

   Sammanfattning : This thesis aims to develop a new model for stress-testing financial portfolios using Extreme Value Theory (EVT) and General Adversarial Networks (GANs). The current practice of risk management relies on mathematical or historical models, such as Value-at-Risk and expected shortfall. LÄS MER

7. 5. Risk Assessment of International Mixed Asset Portfolio with Vine Copulas

   Kandidat-uppsats, Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

   Författare :Axel Nilsson; [2022]
   Nyckelord :Vine Copulas; Extreme Value Theory; Financial Risk Management; Vine Copulas; Extremvärdesteori; Finansiell riskhantering;

   Sammanfattning : This thesis gives an example of assessing the risk of a financial portfolio with international assets, where the assets may be of different classes, by the use of Monte Carlo simulation and Extreme Value Theory. The simulation uses univariate modelling, models of the assets’ returns as stochastic processes, as well as vine copulas to create dependency between the variables. LÄS MER